compounded annual returns

shalmali — Sun, 17 Nov 2013 06:02:51 GMT

Hi All,

I want to calculate Annual stock returns by compounding monthly stock returns for a twelve-month period ending four months after the end of the fiscal year of the firm. The information I have includes firm_ticker (firm identifier), dates, and fiscal_year_end.

The sample consists of around 4000 unique firms with information for the period 2004 to 2012. Mostly the firms have fiscal year end of December, March, June, and September. The subsample of the data looks as follows

FIRM_TICKER	DATES	FISCAL_YEAR_END	PRICE
A	1/31/2004	9	8.5
A	2/28/2004	9	8.25
A	3/31/2004	9	8.6
A	4/30/2004	9	9
A	5/31/2004	9	8.33
A	6/30/2004	9	8.4
A	7/31/2004	9	8.6
A	8/31/2004	9	8.9
A	9/30/2004	9	8.75
A	10/31/2004	9	8.8
A	11/30/2004	9	8.4
A	12/31/2004	9	8.22

A	1/31/2005	9	8.9
A	2/28/2005	9	8.75
A	3/31/2005	9	8.8
A	4/30/2005	9	8.4
A	5/31/2005	9	8.22
A	6/30/2005	9	8.4
A	7/31/2005	9	8.6
A	8/31/2005	9	7.9
A	9/30/2005	9	7.8
A	10/31/2005	9	8
A	11/30/2005	9	8.2
A	12/31/2005	9	8.25

I would appreciate if someone could share the code for annual return calculation.

Thanks in advance.

Re: compounded annual returns

Patrick — Sun, 17 Nov 2013 07:13:45 GMT

Can you please provide a data step which creates sample data and then also give us a sample of how the result should look like?

topic Re: compounded annual returns in SAS Procedures

compounded annual returns

Re: compounded annual returns